Package com.opengamma.analytics.financial.provider.sensitivity.multicurve

Examples of com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity.plus()

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    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurve.getName(cap.getCurrency()), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDr.multipliedBy(df * bsAdjoint[1]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyMulticurveSensitivity.of(cap.getCurrency(), result);
  }

}
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    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurve.getName(cap.getCurrency()), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDr.multipliedBy(df * (bsAdjoint[1] + bsAdjoint[2] * volatilityAdjoint[1])));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyMulticurveSensitivity.of(cap.getCurrency(), result);
  }

  /**
 
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    final List<DoublesPair> listDf = new ArrayList<>();
    listDf.add(new DoublesPair(bond.getSettlementTime(), bond.getSettlementTime() / df));
    resultMap.put(multicurves.getName(ccy), listDf);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(pv.getAmount(ccy) / notional);
    result = result.plus(sensiPv.getSensitivity(ccy).multipliedBy(1 / (df * notional)));
    return result;
  }

  /**
   * Computes the clean price of a bond security from curves.
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    final MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMapCredit);
    final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
    final List<DoublesPair> listDsc = new ArrayList<>();
    listDsc.add(new DoublesPair(bill.getBillPurchased().getSettlementTime(), -bill.getBillPurchased().getSettlementTime() * dfDscSettle * dfDscSettleBar));
    resultMapDsc.put(issuer.getMulticurveProvider().getName(ccy), listDsc);
    return MultipleCurrencyMulticurveSensitivity.of(ccy, result.plus(MulticurveSensitivity.ofYieldDiscounting(resultMapDsc)));
  }

  /**
   * The par spread for which the present value of the bill transaction is 0. If that spread was added to the transaction yield, the new transaction would have a present value of 0.
   * @param bill The bill transaction.
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    final MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMapCredit);
    final Map<String, List<DoublesPair>> resultMapDsc = new HashMap<>();
    final List<DoublesPair> listDsc = new ArrayList<>();
    listDsc.add(new DoublesPair(bill.getBillPurchased().getSettlementTime(), -bill.getBillPurchased().getSettlementTime() * dfDscSettle * dfDscSettleBar));
    resultMapDsc.put(issuer.getMulticurveProvider().getName(ccy), listDsc);
    return result.plus(MulticurveSensitivity.ofYieldDiscounting(resultMapDsc));
  }

}
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    final int len = swap.getSecondLeg().getNumberOfPayments();
    CouponIbor couponInitial = (CouponIbor) swap.getSecondLeg().getPayments()[0];
    MulticurveSensitivity pvSecondDr2 = CouponIborDiscountingMethod.getInstance().presentValueSecondOrderCurveSensitivity(couponInitial, multicurves).getSensitivity(ccy);
    for (int i = 1; i < len; ++i) {
      CouponIbor coupon = (CouponIbor) swap.getSecondLeg().getPayments()[i];
      pvSecondDr2.plus(CouponIborDiscountingMethod.getInstance().presentValueSecondOrderCurveSensitivity(coupon, multicurves).getSensitivity(ccy));
    }

    final MulticurveSensitivity result = pvSecondDr2.multipliedBy(pvCoeff).plus(pvbpDr2.multipliedBy(pvbpCoeff)).plus(pvSecondDr.productOf(pvbpDr.multipliedBy(crossCoeff)))
        .multipliedBy(Math.signum(swap.getSecondLeg().getNthPayment(0).getNotional()));
    return result;
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    list.add(new DoublesPair(cap.getPaymentTime(), dfDr));
    final Map<String, List<DoublesPair>> resultMap = new HashMap<>();
    resultMap.put(multicurve.getName(cap.getCurrency()), list);
    MulticurveSensitivity result = MulticurveSensitivity.ofYieldDiscounting(resultMap);
    result = result.multipliedBy(bsAdjoint[0]);
    result = result.plus(forwardDr.multipliedBy(df * bsAdjoint[1]));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyMulticurveSensitivity.of(cap.getCurrency(), result);
  }

}
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      final SABRExtrapolationRightFunction sabrExtrapolation = new SABRExtrapolationRightFunction(forward, sabrParam, _cutOffStrike, cap.getFixingTime(), _mu);
      bsPrice = sabrExtrapolation.price(option);
      bsDforward = sabrExtrapolation.priceDerivativeForward(option);
    }
    result = result.multipliedBy(bsPrice);
    result = result.plus(forwardDr.multipliedBy(bsDforward));
    result = result.multipliedBy(cap.getNotional() * cap.getPaymentYearFraction());
    return MultipleCurrencyMulticurveSensitivity.of(cap.getCurrency(), result);
  }

  /**
 
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  public MulticurveSensitivity visitGenericAnnuity(final Annuity<? extends Payment> annuity, final MulticurveProviderInterface multicurve) {
    ArgumentChecker.notNull(multicurve, "multicurve");
    ArgumentChecker.notNull(annuity, "Annuity");
    MulticurveSensitivity pvbpSensi = new MulticurveSensitivity();
    for (final Payment p : annuity.getPayments()) {
      pvbpSensi = pvbpSensi.plus(p.accept(this, multicurve));
    }
    return pvbpSensi;
  }

  @Override
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    // Add multi-curve
    final Map<String, List<DoublesPair>> expectedSensiAddMulti = new HashMap<>();
    expectedSensiAddMulti.put(CURVE_NAME_1, expectedSensiData1add2);
    expectedSensiAddMulti.put(CURVE_NAME_2, SENSI_DATA_2);
    expectedSensiAddMulti.put(CURVE_NAME_3, SENSI_DATA_3);
    assertEquals(expectedSensiAddMulti, pvSensi_11.plus(pvSensi_22.plus(pvSensi_33.plus(pvSensi_12))).getYieldDiscountingSensitivities());
    assertEquals(MulticurveSensitivity.ofYieldDiscounting(expectedSensiAddMulti), pvSensi_11.plus(pvSensi_22.plus(pvSensi_33.plus(pvSensi_12))));
  }

  @Test
  public void plusMultipliedByDscFwd() {
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